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dc.contributor.authorCaporin, Massimilianoen_US
dc.contributor.authorLisi, Francescoen_US
dc.date.accessioned2011-06-06T09:47:29Z-
dc.date.available2011-06-06T09:47:29Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/45787-
dc.description.abstractThe financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyze, rank and select assets. There is thus a problem: which measures should be considered? The authors extend the current literature by comparing a large set of performance measures over more than one thousand of equities included in the Standard & Poor's 1500 index. They evaluate performance measures by mean of rank correlations, exploiting the possible dynamic evolution of the rank correlations, and proposing a method for the identification of the subset of measures which are not equivalent. Their empirical study highlights that recent and more flexible measures provide different asset ranks compared to classical approaches, and that the set of equivalent performance measures is not stable over time.en_US
dc.language.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesEconomics Discussion Papers 2011-14en_US
dc.subject.jelC10en_US
dc.subject.jelG11en_US
dc.subject.jelC40en_US
dc.subject.ddc330en_US
dc.subject.keywordperformance measurementen_US
dc.subject.keywordrank correlationsen_US
dc.subject.keywordcomparing performance measuresen_US
dc.titleComparing and selecting performance measures using rank correlationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn661030350en_US
dc.rights.licensehttp://creativecommons.org/licenses/by-nc/2.0/de/deed.enen_US
dc.identifier.repecRePEc:zbw:ifwedp:201114-
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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